I started making comics about the second that I realized it was something that people did. I had read a small article (career profile, really) about Todd McFarlane, of all people, and was like "woah! That's a JOB?!?!" This was back when he was doing Spider-Man (to give some perspective).
Anyhow, the reason I've stuck with it, and keep coming back to it, I think, is because I can do it all myself. I don't need any outside help, or have to depend on anyone else to get it done. I can just sit down and do it. I've dabbled in other mediums over the years. I've been in bands, I made a (really awful) movie once. And in all those cases, your work is at the mercy of other people who might have adverse opinions, or a lack of motivation.
Obviously a lot of folks collaborate on comics, but you don't have to. I wouldn't mind collaborating on comics, but I like the fact that if I want to create something that is my total vision, that I can do that.